Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978906 | Physica A: Statistical Mechanics and its Applications | 2010 | 12 Pages |
Abstract
The concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993–2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Claire G. Gilmore, Brian M. Lucey, Marian W. Boscia,